Systemic risk and cross-sectional hedge fund returns

被引：7

作者：

Hwang, Inchang ^{[1
]}

Xu, Simon ^{[2
]}

In, Francis ^{[3
]}

Kim, Tong Suk ^{[4
]}

机构：

[1] Korea Insurance Res Inst, KFPABldg,38 Gukjegeumyung Ro 6 Gil, Seoul 07328, South Korea

[2] Monash Univ, Monash Business Sch, Dept Banking & Finance, Clayton, Vic 3800, Australia

[3] Griffth Univ, Dept Accounting Finance & Econ, Griffth Business Sch, Gold Coast Campus, Qld 4222, Australia

[4] Korea Adv Inst Sci & Technol, Coll Business, 85 Hoegiro, Seoul 130722, South Korea

来源：

JOURNAL OF EMPIRICAL FINANCE | 2017年 / 42卷

关键词：

Hedge fund; Systemic risk; Cross-section of expected returns; PERFORMANCE; MANAGEMENT; HETEROSKEDASTICITY; LIQUIDITY; STYLE;

D O I：

10.1016/j.jempfin.2017.03.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines the cross-sectional relation between hedge fund returns and systemic risk. Measuring the systemic risk of an individual hedge fund by using the marginal expected shortfall (MES), we find evidence for a positive and statistically significant relation between systemic risk and hedge fund returns. The risk-adjusted return of a hedge fund portfolio with a high systemic risk is 0.64% per month higher than for one with a low systemic risk during 1994-2012, while negative performance is observed during crisis periods. The relation between systemic risk and hedge fund returns holds for both live and defunct funds. Moreover, the relation holds even after controlling for a large set of fund characteristics. Hence, systemic risk is a powerful determinant of cross-sectional variations in hedge fund returns. Our results imply that the positive relation between hedge fund returns and systemic risk is due to compensation for the realized losses during systemic events.

引用

页码：109 / 130

页数：22

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